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Topic starter
27/06/2017 7:28 am
Good morning,
I appreciate your patience with me as I know my development process has slowed from its torrid pace to begin the year. The past month has been absolutely crazy for me personally between a root canal, brother's med school graduation, a trip to NY (had some exciting BA meetings while there!), looking for a new place to call home, and now the worst part, actually moving.
That being said, I am still dedicating all my free time (just a reduced amount over the past month) to increasing the intraday capabilities of Build Alpha. I have a few questions/issues we need to resolve as I Progress. You can either email me or respond here - no matter to me.
The big intraday features will be:
-Time Filters (only trade between 9:30am and 11:30am)
-Max and min P&L for the day
-Limit the number of trades per day
-Obvious increase in amount of data we can process.
Also, a couple of design issues I want to run by everyone. I don't want to add a bunch of time signals so we have time > 900 and time < 930, time > 900 and time < 1000, time > 900 and time < 1030, etc. as you can see our already long list of signals will grow enormously.
Two options: I am thinking of adding these to our list and then making the signal list a tree structure or I can create a "time test" very similar to our delayed entries and exit test. Obviously, I'd also allow these time filters to be made using the custom indicator builder too.
Second, for intraday strategies individual mode we will display the actual trade results. However, in portfolio mode, we will display results as daily marked to market changes. So if you see June 27, 2017 +562.00 that means the profit for that day is 562.
I need to do this so we can have different time frame strategies in the same portfolio.
If you have any thoughts or questions or ideas please send them here or to my email. As always good luck trading and thanks for your never ending support! You guys certainly make this fun to develop.
All the best,
Dave
27/06/2017 8:04 pm
I do think making the signal list a tree structure would be nice. It takes a lot of scrolling to find specific signals that you want to select with the current structure.
I am wondering if this intraday option would support modeling overnight trades.. taking a position at EOD and then closing it at next Open?
Dave reacted
Topic starter
27/07/2017 8:24 am
Hey all,
So here is an update on the newest version of Build Alpha. I have successfully completed a test of 500 signals on 1 million rows of 5 minute data. This is roughly 17 years of 5 minute data (I personally think this amount of data is excessive but nonetheless BA is now capable).
I've also added a few intraday features to the generated code for TradeStation, MultiCharts, NinjaTrader, MetaTrader4, and Quantopian. I'll explain these in a video with the release.
Some other big things/additions I am adding to this update
-putting the signals in a tree structure
-intermarket, intraday capabilities
-a new intraday robustness test (ill explain in the coming video as well)
I just want to thank you all for the patience as some of you know I've been caught up with some personal issues as well as this BIG task.
The update is coming and I'm working night and day to make it happen.
I could use some help testing the Quantopian code, however.
If you feel capable shoot me an email david@buildalpha.com
Thanks and green trading,
Dave
DW reacted
29/07/2017 10:21 am
Hello everyone
How can I know if I have the latest software update
regards
Juan David
15/08/2017 8:56 pm
Really excited for the new Build Alpha updates.
